Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 99.0% | 100.0% |
Cumulative Return | -2.05% | 8.29% |
CAGR% | -2.87% | 11.83% |
Sharpe | -0.07 | 0.94 |
Sortino | -0.09 | 1.43 |
Max Drawdown | -18.86% | -9.62% |
Longest DD Days | 245 | 157 |
Volatility (ann.) | 18.71% | 13.22% |
R^2 | 0.16 | 0.16 |
Calmar | -0.15 | 1.23 |
Skew | -0.99 | 0.08 |
Kurtosis | 4.13 | 0.98 |
Expected Daily % | -0.01% | 0.05% |
Expected Monthly % | -0.21% | 0.8% |
Expected Yearly % | -1.03% | 4.06% |
Kelly Criterion | -2.77% | 7.04% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.94% | -1.32% |
Expected Shortfall (cVaR) | -3.23% | -3.23% |
Payoff Ratio | 0.93 | 1.16 |
Profit Factor | 0.01 | 0.17 |
Common Sense Ratio | 0.01 | 0.19 |
CPC Index | 0.01 | 0.1 |
Tail Ratio | 1.01 | 1.13 |
Outlier Win Ratio | 2.66 | 3.3 |
Outlier Loss Ratio | 2.76 | 4.23 |
MTD | 5.1% | 2.25% |
3M | -5.2% | 4.7% |
6M | -9.85% | -0.8% |
YTD | -4.77% | 4.0% |
1Y | -2.05% | 8.29% |
3Y (ann.) | -2.87% | 11.83% |
5Y (ann.) | -2.87% | 11.83% |
10Y (ann.) | -2.87% | 11.83% |
All-time (ann.) | -2.87% | 11.83% |
Best Day | 2.66% | 2.49% |
Worst Day | -5.96% | -2.96% |
Best Month | 9.2% | 4.8% |
Worst Month | -9.68% | -3.95% |
Best Year | 2.86% | 4.12% |
Worst Year | -4.77% | 4.0% |
Avg. Drawdown | -10.24% | -2.18% |
Avg. Drawdown Days | 124 | 26 |
Recovery Factor | -0.11 | 0.86 |
Ulcer Index | 1.1 | 1.04 |
Avg. Up Month | 3.9% | 3.41% |
Avg. Down Month | -6.16% | -1.97% |
Win Days % | 50.59% | 50.0% |
Win Month % | 50.0% | 60.0% |
Win Quarter % | 50.0% | 75.0% |
Win Year % | 50.0% | 100.0% |
Beta | 0.56 | - |
Alpha | -0.08 | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2020 | 4.12 | 2.86 | 0.69 | - |
2021 | 4.00 | -4.77 | -1.19 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-08-07 | 2021-04-09 | -18.86 | 245 |
2020-08-03 | 2020-08-05 | -1.62 | 2 |